Step 1: Prepare the Dough

1. Activate the Yeast: In a large mixing bowl (or the bowl of your stand mixer), combine the warm milk, sugar, and active dry yeast. Gently stir to combine and let it sit for 5-10 minutes. This process, called “proofing,” ensures your yeast is active and ready to make the dough rise. You’ll know it’s ready when the mixture becomes frothy or bubbly on top.
2. Combine Wet Ingredients: Once the yeast is proofed, add the vegetable oil and egg to the yeast mixture. Whisk lightly to incorporate all the wet ingredients.
3. Incorporate Dry Ingredients Gradually: In a separate bowl, whisk together the all-purpose flour and salt. Gradually add the dry ingredients to the wet ingredients, mixing on low speed with a dough hook (or by hand with a wooden spoon) until a shaggy dough forms.
4. Knead the Dough: Increase the mixer speed to medium-low and knead the dough for 5-7 minutes, or knead by hand on a lightly floured surface for 8-10 minutes. The dough should become smooth, elastic, and slightly tacky but not sticky. If the dough is too sticky, add a tablespoon of flour at a time until it reaches the desired consistency.
5. First Rise (Bulk Fermentation): Place the kneaded dough in a lightly oiled bowl, turning it to coat all sides. Cover the bowl with plastic wrap or a clean kitchen towel and let it rise in a warm place for 1-1.5 hours, or until doubled in size. This first rise is crucial for developing flavor and texture in the dough. A warm place could be a slightly warm oven (turned off), a sunny spot in your kitchen, or even using the “proof” setting on some ovens.

Step 2: Assemble the Pepperoni Rolls

1. Preheat Oven and Prepare Baking Sheet: While the dough is rising, preheat your oven to 375°F (190°C). Line a large baking sheet with parchment paper or grease it lightly.
2. Punch Down the Dough: Once the dough has doubled, gently punch it down to release the air. Turn the dough out onto a lightly floured surface.
3. Divide and Shape the Dough: Divide the dough into 12-16 equal portions, depending on your desired roll size. You can use a bench scraper or knife to divide the dough evenly.
4. Roll Out Dough Portions: Take one dough portion and roll it out into a small rectangle or circle, approximately 4-6 inches in diameter. The thickness should be about ¼ inch.
5. Add Filling: Place a few slices of pepperoni and a sprinkle of shredded mozzarella cheese in the center of the rolled-out dough. You can be generous with the filling, but avoid overfilling, which can make the rolls difficult to seal.
6. Seal the Rolls: Bring the edges of the dough together to enclose the filling, pinching the seams tightly to seal. Ensure the rolls are well-sealed to prevent the filling from leaking out during baking. You can shape them into round balls or slightly elongated rolls. Place the assembled rolls seam-side down on the prepared baking sheet, leaving some space between each roll for expansion.
7. Second Rise (Proofing): Cover the baking sheet with a clean kitchen towel and let the assembled rolls rise in a warm place for another 20-30 minutes. This second rise, known as proofing, allows the rolls to become even lighter and fluffier before baking.

Step 3: Bake and Finish

1. Brush with Butter (Optional): If desired, brush the tops of the rolls with melted butter before baking. This will give them a beautiful golden-brown crust and added richness. You can also sprinkle a bit of garlic powder, Italian seasoning, or Parmesan cheese on top at this stage for extra flavor.
2. Bake the Rolls: Bake in the preheated oven for 15-20 minutes, or until the rolls are golden brown and the cheese is melted and bubbly. The baking time may vary slightly depending on your oven and the size of the rolls. Check for doneness by lightly tapping the bottom of a roll – it should sound hollow.
3. Cool Slightly and Serve: Once baked, remove the Pepperoni Rolls from the oven and let them cool on the baking sheet for a few minutes before transferring them to a wire rack to cool slightly further. Serve warm for the best cheesy, gooey experience.